If you want melee, either go with Warrior or Monk at first. ( Red Mage could also work if you like to solo a lot, but is a tad harder to play than warrior/monk ).

Warrior is much needed for tanks ( damage takers ) due to the Provoke ability. If you for instance are going for Paladin later on you won't have wasted your warrior levels because you can then bring Paladin up to 60 with warrior subbed before starting to think about raising your sub

Monk is nice for heavy damage output early on and a nice amount of hitpoints. Striking twice per delay and having what's probably the best 2hour ability in-game makes for a very fun class to play.

Edit: Thus, Warrior for damage taking, Monk for damage dealing
Don't count on a Monk to tank later on though.

If you've got some spare money or know somebody willing to lend you some, it's worth buying some Meat Mithkabobs for the 1-10 levelling. Adds +5 Str and really works a wonder. Costs around 250-300gil at AH and/or Bazaars and lasts
somewhere around 45-60 minutes, not entirely sure.